Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Characteristics

Characteristic Latest Prior Month Two Months Ago
Rank (1 is Worst, 20 is Best) 18 17 15
Score 5.58 5.66 4.13
Market Cap (Millions USD) 480.85 478.5 460.87
Predicted Beta 0.84 0.84 0.85
Idiosyncratic Volatility 3.96 3.73 4.15

Annualized return and volatility

IYK
Annualized Return 0.0818
Annualized Std Dev 0.1461
Annualized Sharpe (Rf=0%) 0.5599

Row

Daily Return Statistics

IYK
Observations 4996.0000
NAs 118.0000
Minimum -0.0694
Quartile 1 -0.0040
Median 0.0005
Arithmetic Mean 0.0004
Geometric Mean 0.0003
Quartile 3 0.0050
Maximum 0.0894
SE Mean 0.0001
LCL Mean (0.95) 0.0001
UCL Mean (0.95) 0.0006
Variance 0.0001
Stdev 0.0092
Skewness -0.0960
Kurtosis 7.8514

Downside Risk

IYK
Semi Deviation 0.0067
Gain Deviation 0.0064
Loss Deviation 0.0070
Downside Deviation (MAR=210%) 0.0117
Downside Deviation (Rf=0%) 0.0065
Downside Deviation (0%) 0.0065
Maximum Drawdown 0.4264
Historical VaR (95%) -0.0143
Historical ES (95%) -0.0220
Modified VaR (95%) -0.0136
Modified ES (95%) -0.0217
From Trough To Depth Length To Trough Recovery
2007-12-11 2009-03-09 2010-10-22 -0.4264 736 320 416
2002-05-03 2003-03-10 2003-12-18 -0.2452 421 220 201
2018-01-25 2018-12-24 2019-07-29 -0.1970 385 235 150
2011-07-08 2011-08-10 2012-01-25 -0.1322 141 24 117
2001-02-21 2001-03-22 2001-12-19 -0.1281 211 22 189

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec IYK
1999 NA NA NA NA NA NA NA NA NA NA NA NA NA
2000 NA NA NA NA NA 0.0 0.0 0.3 0.0 0.7 -0.9 0.0 0.1
2001 1.8 -0.4 0.0 2.7 0.4 0.0 -0.8 0.0 -0.3 1.7 0.0 0.0 5.2
2002 0.5 1.8 -0.4 1.5 0.0 0.0 -0.5 0.0 2.8 1.4 0.0 0.0 7.3
2003 0.0 0.0 0.2 0.3 0.0 0.8 -1.1 0.0 1.6 0.0 0.6 0.0 2.4
2004 0.0 0.9 1.0 0.0 0.5 -0.6 0.0 0.8 1.1 0.2 1.2 0.0 5.3
2005 0.2 0.8 -0.7 0.0 0.6 0.1 -0.3 -0.6 0.0 -0.5 0.8 0.0 0.4
2006 0.2 0.2 0.0 -0.2 0.7 0.0 -0.6 0.4 0.0 -0.4 -0.5 0.0 0.0
2007 0.7 -0.1 0.0 -0.6 0.2 0.0 1.0 0.0 0.8 -2.9 0.0 0.0 -0.9
2008 1.3 0.0 2.0 0.6 0.0 0.1 0.2 0.0 1.1 0.0 -5.7 0.0 -0.7
2009 0.0 0.0 1.7 0.1 2.2 1.6 0.0 -1.5 -1.7 0.0 1.4 0.0 3.9
2010 0.8 1.0 0.7 0.0 -0.8 0.3 0.0 2.0 0.2 -0.1 1.9 0.0 6.0
2011 0.6 -1.1 0.7 0.0 -1.5 1.1 -0.3 -0.7 0.0 -2.3 -0.4 0.0 -3.7
2012 0.7 0.3 0.0 0.3 -2.3 0.0 -0.8 0.0 0.6 0.8 0.0 0.0 -0.3
2013 0.6 0.2 -0.4 -0.6 0.0 0.9 1.4 0.0 0.5 0.2 0.0 0.0 2.8
2014 0.0 0.0 0.5 -0.1 0.0 0.5 0.4 0.0 -0.6 0.0 -0.8 0.0 -0.1
2015 0.0 0.0 -0.2 0.9 0.0 1.2 0.0 -2.5 0.0 0.0 0.8 0.0 0.2
2016 0.1 1.4 0.9 0.0 0.3 0.1 -0.1 0.0 0.0 -0.6 -0.5 0.0 1.5
2017 -0.4 0.8 0.0 -0.5 0.8 0.0 -0.3 0.6 0.0 0.0 0.2 0.0 1.1
2018 -0.6 -0.7 0.0 -0.6 0.5 0.0 -1.0 0.0 0.2 0.9 0.0 0.0 -1.3
2019 -0.2 0.2 0.3 -1.2 0.0 0.6 -1.0 0.0 -0.6 0.3 0.0 0.1 -1.4

Row

Rolling Performance Chart

Snail Trail Chart